General Linear Programming Problem

 General Linear Programming Problem Let z be a linear function on Rn defined by

( )

where are constants. Let ( ) be an mxn real matrix and * + be a set

of constants such that

{ ( )

And let ( )

The problem of determining an n tuple ( ) which makes z a minimum (or

maximum) and satisfies (b) and (c) is called the general linear programming problem

 Objective function The linear function

which is to be minimised or maximised is called the objective function of the general

LPP

 Constraints The inequalities (b) is called the constraints of General LPP

 Non negative restrictions The set of inequalities (c) is usually known as the set of

non negative restrictions of the general LPP

 Solution An n tuple ( ) of real numbers which satisfies the constraints of

a general L P P is called a solution to the General L P P

 Feasible solution Any solution to the General L P P which satisfies the non negative

restrictions of the problem are called feasible solutions to the General L P P

 Optimum solution Any feasible solution which optimises the objective function of

general L P P is called an optimum solution of the GLPP

 Slack Variables Let the constraints of the LPP be

Then the non negative variables which satisfy ∑ are called

slack variables

 Surplus variables Let the constraints of the LPP be

Then the non negative variables which satisfy ∑ are called

surplus variables

 Standard Form of LPP :The general linear programming problem in the form

Maximise or Minimise subject to the constraints

is known as standard form.

The characterisitics of the form are

(a)All the constraints are expressed in the form of equations(by adding slack or surplus

variables), except for non negative restrictions

(b)The RHS of each constraint equation is non negative.

 Matrix notation In matrix notation the standard form of LPP can be represented as

Maximise or Minimise subject to the constraints

A=( ) be an mxn real matrix

 Basic solution Given a simultaneous linear equation in n unknowns (m<n) Ax=b

where A is an mxn matrix of rank m.Let B be any mxn sub matrix formed by linearly

independent columns of A. Then a solution obtained by setting n-m variables not

associated with the columns of B, equal to zero, and solving the resulting system is

called a basic solution to the given system of equations.

 Basic variables The m variables which may be all different from zero are called basic

variables

 Degenerate solution A basic solution to the system is called degenerate if one or

more of the basic variables vanish

 Basic feasible solution A feasible solution of an LPP which is also a basic solution to

the problem is called basic feasible solution to the LPP.

 Associates cost vector Let be a basic feasible solution to the LPP Maximise

subject to the constraints , Then the vector

( ) where are components of c associated with the basic variables is

called the cost vector associated with the basic feasible solution

 Optimum basic feasible solution A basic feasible solution

Maximise subject to the constraints ,

is called an optimum basic feasible solution if where is the

value of the objective function

The set of feasible solution to an L P P is a convex set.

Proof

Let the LPP be to determine x so as to maximise the linear function subject to the

constraints ,

( ) ( )
Let be two feasible solutions to this problem, so that

( ) ( ) ( ) ( )

( ) ( )
Now consider the convex combination of namely

( ) ( )
( )

( ) ( ) ( ) ( )
Clearly [ ( ) ] ( ) ( )

( ) ( ) ( )
Again since and

Hence x is also a feasible solution to this problem.

Thus the set * + is a convex set

Some Theorems

 If an LPP has a feasible solution , then it also has a basic feasible solution

 A basic feasible solution to an LPP must correspond to an extreme point of the set of

all feasible solutions and conversely

If the feasible region of the LPP is a convex polyhedron, then there exists an optimal solution

to the LPP and atleast one basic solution must be optimal.

Proof

Let the LPP be to determine x so as to Maximise

subject to the constraints ,

Then the feasible region S of LPP is given by * +

Since S is a convex polyhedron it is nonempty, closed and bounded.

The objective function is continuous on S,which is non empty closed and

bounded. Therefore z attains a maximum on S.This proves the existence of an optimal

solution.

Since S is a convex polyhedron, it has finite number of extreme points. Let this be

So any can be expressed as a convex combination of the extreme points,

ie ∑ ∑

Let { } Then for any

(∑ ) ∑ ( ) ∑

Thus the maximum value of z is attained only at one of the extreme points of S.

ie atleast one extreme point of S yields an optimum solution.

Since each extreme point of S corresponds to a basic feasible solution of the LPP atleast one

basic feasible solution must be optimal.

Hence the proof